Author: Jing ZhangDate: November 2011
An economic framework for describing funding liquidity An economic framework for describing contingent liquidity Author: Amnon Levy, Managing Director, Head of Portfolio Research Date: July 2011
Sources and cyclicality of CRE loan credit risks Best practice in modeling PD and LGD Conducting meaningful scenario analysis and stress-testing Author: Jun ChenDate: May 17, 2011
Putting A Sense of Mission Back Into Portfolio Management Liquidity Risk and CPM: An Overview Liquidity Risk and CPM: Analytical Issues and Solutions Author: Jing Zhang and Charles Stewart Date: May 12, 2011
Sovereign Risk: New Methods for a New Era Modeling Sovereign Probabilities of Default Modeling Sovereign Risk in a Portfolio Author: Nihil Patel, Heather Russell, Vojislav Sesum Date: May 2011
Why Banks Fail: The Dominant Risk Factor A Portfolio Approach to Measuring Bank Failure Risk Implications for Risk Management and Regulations A Portfolio Approach to Measuring Systemic Risk Author: Jing ZhangDate: May 2011
Regulatory capital Economic capital best practice Author: Amnon Levy, Managing Director, Head of Portfolio Research Date: March 2011
An economic framework for describing funding liquidity An economic framework for describing contingent liquidity Extensions to framework Author: Amnon Levy, Managing Director, Head of Portfolio Research, Moody’s AnalyticsDate: March 2011
Index Benchmarking Illustration Author: Amnon Levy, Managing Director, Head of Portfolio ResearchDate: November 2010
Stress Testing a Credit Portfolio Linking Macroeconomic Indicators to Drivers of Credit Risk Quantifying the Crisis and Assessing Portfolio Impact Author: Amnon Levy, Managing Director, Head of Portfolio Research, Moody’s AnalyticsDate: November 2010
Improving a Credit Portfolio A Practical Framework Real World Example with Constraints Author: Alistair McLeod, Director, Head of Portfolio Analytics, Barclays Capital and Amnon Levy, Managing Director, Head of Portfolio Research, Moody’s AnalyticsDate: October 2010
Validating a Credit Portfolio Model Methodology and Data Model Performance Author: Amnon Levy, Managing Director, Head of Portfolio Research, Moody’s AnalyticsDate: October 2010
All effective risk management is dependent on defining a firm’s risk appetite. This presentation explains what risk appetite is, how to define it and what a risk appetite statement should look like. It also sets out the importance of embedding risk appetite into a wider risk management framework that cohesively links to strategy and business planning. Author: Christian Thun Date: May 2010